Undergraduate Introduction To Financial Mathematics, An (Fourth Edition)

This book provides a comprehensive introduction to the mathematical modeling of prices of financial derivatives, with a focus on hedging portfolios, extensions of the Black-Scholes model, optimizing portfolios, the binomial model, exotic options, and linear algebra. It has been updated to include more exercises and examples, making it an ideal resource for students interested in learning about modern financial mathematics.

Format: Hardback
Length: 468 pages
Publication date: 11 December 2022
Publisher: World Scientific Publishing Co Pte Ltd

This comprehensive book serves as an excellent introduction to the mathematical modeling of prices of financial derivatives, including bonds, futures, and options. It assumes a basic understanding of multivariable calculus as the only mathematical prerequisite. The book is organized into chapters that cover the necessary theory of interest, statistical, stochastic, and differential equations. The primary goal is to make this introductory text as self-contained as possible, providing a solid foundation for those interested in this field.

In this edition, the chapters on hedging portfolios and extensions of the Black-Scholes model have been expanded to provide more detailed coverage. The chapter on optimizing portfolios has been completely rewritten to focus on the development of the Capital Asset Pricing Model (CAPM). The binomial model due to Cox-Ross-Rubinstein has been enlarged into a standalone chapter, showcasing its wide-ranging utility for numerically estimating option prices. Additionally, a new chapter has been added on the pricing of exotic options, expanding the book's coverage of complex financial instruments.

The appendix has been updated to include linear algebra with sufficient background material to support a more rigorous development of the Arbitrage Theorem. The book has undergone a significant increase in the number of exercises, with over 700 exercises now included. This extensive exercise coverage ensures that students completing the book will gain a deep understanding of the development of modern financial mathematics.

Whether you are a student, professional, or researcher in finance, this book is an invaluable resource for understanding the mathematical principles behind pricing financial derivatives. Its clear explanations, comprehensive coverage, and extensive exercise set make it an essential tool for anyone seeking to advance their knowledge in this field.

Weight: 824g
Dimension: 158 x 236 x 33 (mm)
ISBN-13: 9789811260308